The art of fitting financial time series with Levy stable distributions
Data Analysis, Statistics and Probability
2008-12-02 v1 Physics and Society
Statistical Finance
Abstract
This paper illustrates a procedure for fitting financial data with -stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate, in order to quantitatively assess its quality. It turns out that, for the two investigated data sets (MIB30 and DJIA from 2000 to present), an -stable fit of log-returns is reasonably good.
Keywords
Cite
@article{arxiv.physics/0608224,
title = {The art of fitting financial time series with Levy stable distributions},
author = {Enrico Scalas and Kyungsik Kim},
journal= {arXiv preprint arXiv:physics/0608224},
year = {2008}
}
Comments
17 pages, 10 figures, 2 tables. Paper presented at the DDAP4 conference, Pohang, Korea, July 2006. Submitted to Journal of Korean Physical Society